What Do We Know About the Effects of Fiscal Policy Shocks? A Comparative Analysis
Dario Caldara () and
Christophe Kamps ()
No 257, Computing in Economics and Finance 2006 from Society for Computational Economics
The empirical literature studying the effects of fiscal policy shocks using VAR models differs among two important dimensions: the identification scheme and the VAR specification. Not surprisingly the results obtained are often diverse. The aim of this paper is to test whether differences in the results can be explained by different VAR specifications and/or alternative identification strategies. To this end, we estimate a common reduced-form VAR model to which we apply the different identification approaches proposed in the literature. We find that, after controlling for specification issues, the recursive approach and the Blanchard-Perotti approach yield very similar results, while the fiscal dummy variable approach yields significantly different results.
Keywords: Fiscal Policy Shocks; VAR analysis (search for similar items in EconPapers)
JEL-codes: C32 E20 E60 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba, nep-mac and nep-pbe
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